The Effect of Macroeconomic Variables on Stock Portfolio Performance Based on Traditional and Modern Network

سال انتشار: 1400
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 196

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شناسه ملی سند علمی:

JR_AMFA-6-3_003

تاریخ نمایه سازی: 20 تیر 1400

چکیده مقاله:

Evaluation of stock portfolio performance is considered one of the important issues in the capital market and investment management in stocks. Proper evaluation of portfolio performance requires recognizing the factors affecting it. The macroeconomic variables are important and effective factors due to affecting the systematic risk of companies. In this research, ordinary least squares method (OLS) was used to evaluate the effect of macroeconomic variables including inflation, interest rate, liquidity growth rate, oil price and currency rate (Rial versus Dollar) on the stock portfolio performance based on traditional and modern network theory. Performance of portfolios including growth portfolio, growth-value portfolio, and value portfolio, and offensive portfolio, indifferent and defensive portfolio was measured based on seasonal data from ۲۰۰۶ to ۲۰۱۶ using the Teriner Index. The research results show that at the error level of ۵%, macroeconomic variables have an impact on the performance of both traditional and modern networks. However, the Akaike information criterion for the modern network model is equal to ۵.۸۲۲, which is less than the traditional network value with the value of ۶.۷۲۴. This suggests that the interpretation of macroeconomic variables in a modern network portfolio is better than that of traditional one. In addition, the effect of macro variables on the performance of the six portfolios will be different

نویسندگان

Yadegar Mohamadi

Department of Financial Management, Ilam Branch, Islamic Azad University, Ilam, Iran

Asfandiar Mohamadi

Department of Management, Ilam Branch, Islamic Azad University, Ilam, Iran

Gharibeh Esmaili kia

Department of Accounting , Ilam University, Ilam , Iran

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